本研究主要在探討國內證券商發行認購權證的發行定價、市場價格與理論價格的關係、與發認購權權証之避險策略及風險。本研究採用了Black-Scholes與二項式評價模型Value at Risk風險值衡量模型來進行台灣證券商最早發行之四檔認購權證之實証分析，其結果如下：

１、證券商之權證發行價格訂定採高波動率政策，造成定價高於Black-Scholes與二項式理論價格的情況發生。

２、由於台灣權證市場尚未成熟、投資人的專業知識不足、證券商的市場操作，造成認購權證的市價與理論價格有明顯的差異。

３、證券商在避險前與避險後的VaR有顯著差異。

４、本研究採用Delta Ratio避險來模擬證券商的避險行為，發現Delta Ratio的避險效果有限。

中文部分
1. 台証衍生金融商品月刊，民國87 年1 月
2. 陳松男，選擇權與期貨，民國86 年
3. 陳皇任，台灣認購權證評價與避險操作之研究，台大財金所碩士論文，民國86 年
4. 陳忠玲，台灣認購權證之觀察，貨幣觀測與信用評等，民國86 年11 月
5. 寶來証券公司權證發行公開說明書，民國86 年8 月
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